Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1192 |
| Annualized Std Dev | 0.3013 |
| Annualized Sharpe (Rf=0%) | -0.3955 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5531.0000 |
| NAs | 1.0000 |
| Minimum | -0.2096 |
| Quartile 1 | -0.0058 |
| Median | 0.0007 |
| Arithmetic Mean | -0.0003 |
| Geometric Mean | -0.0005 |
| Quartile 3 | 0.0070 |
| Maximum | 0.2058 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0004 |
| Stdev | 0.0190 |
| Skewness | -1.1581 |
| Kurtosis | 19.3405 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0146 |
| Gain Deviation | 0.0129 |
| Loss Deviation | 0.0183 |
| Downside Deviation (MAR=210%) | 0.0188 |
| Downside Deviation (Rf=0%) | 0.0148 |
| Downside Deviation (0%) | 0.0148 |
| Maximum Drawdown | 0.9770 |
| Historical VaR (95%) | -0.0271 |
| Historical ES (95%) | -0.0513 |
| Modified VaR (95%) | -0.0299 |
| Modified ES (95%) | -0.0680 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-12-27 | 2020-03-18 | NA | -0.9770 | 5291 | 5037 | NA |
| 1999-01-12 | 1999-06-02 | 1999-06-21 | -0.1182 | 109 | 96 | 13 |
| 1999-07-19 | 1999-08-12 | 1999-11-18 | -0.1083 | 85 | 19 | 66 |
| 1999-07-01 | 1999-07-01 | 1999-07-06 | -0.0381 | 3 | 1 | 2 |
| 1999-01-07 | 1999-01-07 | 1999-01-11 | -0.0275 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | -3.3 | 1 | 0 | -2 | -3.8 | 0 | 2.8 | -0.9 | 1.4 | 1.2 | 2.2 | -1.7 |
| 2000 | 5.8 | -1 | 2.7 | 1.5 | 0.5 | 0.5 | -1.9 | 0.5 | 0.5 | -0.6 | 0 | -1 | 7.4 |
| 2001 | 1 | -1.1 | 3.3 | 3 | -0.1 | 1.8 | 0.5 | 1.3 | 0 | 0.7 | -0.1 | 3.9 | 15 |
| 2002 | 2.6 | -0.1 | 0 | 1.2 | 0 | -2.3 | 5.5 | 0 | -0.4 | 1.1 | 0 | -0.8 | 6.8 |
| 2003 | 0 | 0.7 | 1.3 | -0.3 | 2.9 | 1.9 | -1.4 | -0.5 | 2.8 | 0.2 | -0.1 | 1.2 | 8.9 |
| 2004 | -1 | -0.8 | 1.1 | -0.2 | 1.1 | 0.4 | -0.9 | -0.2 | 1.1 | -0.5 | 0.2 | 0.4 | 0.7 |
| 2005 | 0.1 | 3.2 | -0.4 | -1 | 2.5 | 1.8 | 0.3 | 1 | 0.8 | -0.7 | 1.2 | 0.6 | 9.6 |
| 2006 | 0.7 | 0 | -0.3 | 0.4 | 0.1 | 0.3 | 0 | 0.5 | 0.9 | 0.6 | 1.3 | 0.4 | 5 |
| 2007 | 0.2 | 0.4 | 0.7 | 0.9 | 0.2 | -0.1 | -0.5 | 0.7 | 0 | -0.6 | 2.9 | -1.4 | 3.3 |
| 2008 | 2 | 0.9 | -0.5 | 1.2 | 1.7 | -4 | -0.6 | 1 | 2.5 | 4.3 | -4.7 | 1.6 | 5.2 |
| 2009 | -1.7 | 0.1 | 1.7 | 0.6 | 2.3 | -1.8 | 0.6 | 1 | 0.8 | -6.3 | 1 | 0.7 | -1.3 |
| 2010 | 1 | 1.8 | 0.5 | -0.7 | -0.5 | -1.2 | 0.5 | 1 | 0.5 | 0.4 | 1.8 | 1.3 | 6.5 |
| 2011 | 1.5 | 0.1 | 0.9 | 0.4 | 0 | 0.3 | 1.5 | -1.5 | 0.8 | 0.1 | 1.3 | -0.2 | 5.3 |
| 2012 | 1.4 | -0.3 | 0.5 | 0.1 | -0.6 | 1.9 | 1 | 0.7 | 0.7 | 1.1 | 2.1 | 0 | 8.8 |
| 2013 | 0 | -0.1 | 0.1 | -0.4 | 0.3 | 1 | 0.7 | 1 | 0.4 | 0.6 | -1.6 | 1.1 | 2.8 |
| 2014 | -0.6 | -0.2 | 0.8 | 0.5 | 0.7 | 1 | 0.3 | 0 | -3.6 | 1.8 | -0.4 | 0 | 0.1 |
| 2015 | -0.9 | 0.2 | 0 | 0.4 | 0.9 | 1.3 | -0.1 | -1.1 | -0.1 | 0.6 | 1.1 | 0.3 | 2.7 |
| 2016 | 2.1 | 1.6 | 0 | 0.6 | 0.1 | 0.3 | 1.5 | -0.6 | 0.7 | -1.4 | 0 | 0 | 5 |
| 2017 | 0.3 | 1.2 | 0.6 | 0.8 | 0.4 | 1.7 | 0.6 | 0.1 | 0.1 | 0.5 | -0.2 | 0.3 | 6.5 |
| 2018 | 0.2 | -1.4 | 0.6 | 0.1 | -0.1 | -0.4 | 0.1 | -0.1 | 0.4 | 2.4 | 1.5 | 1.1 | 4.4 |
| 2019 | 0.8 | 0.5 | 1 | 0.3 | -1.7 | 0.6 | -0.3 | 0.8 | -0.4 | 0.4 | 0.2 | -0.3 | 1.9 |
| 2020 | -1.2 | -3.3 | -5.7 | -1.6 | 1.4 | 1.6 | 0.3 | 0.5 | 0.5 | -1.1 | 0.6 | 0.6 | -7.4 |
| 2021 | 1.1 | 1.6 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
